Multi-period portfolio selection with no-shorting constraints : duality analysis
Year of publication: |
August 2017
|
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Authors: | Qi, Jun ; Yi, Lan |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 7.2017, 3, p. 751-768
|
Subject: | Multi-Period Mean-Variance Formulation | Auxiliary Market | Martingale Method | Risk Neutral Probability | Duality | Optimal Trading Strategy | Theorie | Theory | Portfolio-Management | Portfolio selection | Martingal | Martingale | Mathematische Optimierung | Mathematical programming | Duales Optimierungsproblem | Dual optimization problem | Risiko | Risk |
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